| Author | Poon, Chung Wing |
| Call Number | AIT Thesis no. IE-87-07 |
| Subject(s) | Stock-exchange--Hong Kong
Interest rates--Hong Kong
|
| Note | A thesis submitted in partial fulfillment of the requirements for the degree of
Master of Engineering, School of Engineering and Technology |
| Publisher | Asian Institute of Technology |
| Series Statement | Thesis ; no. IE-87-07 |
| Abstract | This study examines the relationship between the inter-bank interest
rates and stock prices. Three models are adopted, namely Efficient Market
Model (EMM), Fair Game Model (FGM) and Equity Pricing Model (EPM). Using
the first two models, an attempt was made to test the impact of the growth
and growth rates of interest rates with the market prices of stocks. Three
trading sectors were selected for the tests, namely, Banking and Financial,
Conglomerate and Commercial Enterprise, and Real Estate and Property.
Comparisons of both monthly and quarterly results indicate that the EMM's
results are better than the FGM's results in all three sectors, except for the
quarterly result of Real Estate and Property. From the results of EPM, when
interest rate changes, prices do not response immediately, since a time lag is
observed. The study also indicates that local interest rates have little
impact on stock prices in the Hong Kong stock market, and can thus conclude
that local interest rates alone have less impact on the stock market price
when the market becomes internationalized. |
| Year | 1987 |
| Corresponding Series Added Entry | Asian Institute of Technology. Thesis ; no. IE-87-07 |
| Type | Thesis |
| School | School of Engineering and Technology |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Industrial Engineering (IE) |
| Chairperson(s) | Tang, John C.S.
; |
| Examination Committee(s) | Frausum, Yves G. Van ;Vanchai Ariyabuddhiphongs ; |
| Scholarship Donor(s) | New Zealand Government; |
| Degree | Thesis (M.Eng.) - Asian Institute of Technology, 1987 |
